CME Globex Notices: February 14, 2011

FIX/FAST Settlement Enhancements
Effective Sunday, April 3, FIX/FAST settlement enhancements will launch on CME Globex.

• Actual Preliminary
• Rounded Preliminary
• Final
• Theoretical Final

This launch will impact the settlement data blocks on Market Data Incremental Refresh (tag 35-MsgType=X) and Security Definition (tag 35-MsgType=d) messages. Details on the enhancements are available in the   Client Impact Assessment.

In addition, the following tag values will no longer be sent in the Market Data Incremental Refresh (tag 35-MsgType=X). As of this release, customer system must not rely on these values:

• tag 269-MDEntryType=M (Prior)
• tag 286-OpenCloseSettleFlag=4 (Price entry from previous day)

Certification is not required and there are no new templates. Customers and system providers are encouraged to test the enhancements thoroughly in New Release starting on Monday, February 21.

 New Mandatory iLink Tags
The new mandatory FIX tags which will enhance customer support and assist in market oversight are currently accepted in production on inbound iLink messages. Customers may begin populating these tags now; the final deadline is June 5, 2011. The five new tags will be used to identify:

• Front-end system
  • Should reflect the gateway application logging into the iLink session id
• Automated trading indicator flag
  • Does not have to dynamically change on a per-order basis from manual to automated
• Country of origin
  • Should reflect trader’s primary location; does not have to dynamically change based on trader's current location
  • For automated systems, the tag should denote the location of the system operator, not the trading system

To ensure customer readiness CME Group recommends the following action items must be completed prior to the June 5, deadline:

• System Providers
  All customer order routing systems must complete the mandatory certification via AutoCert+ and support the population of the new tags; CME recommends this be completed by early April 2011 to allow customers sufficient time to download the software and populate the tags prior to June 5th.
• Trading customers
  • Ensure customer country/state information is gathered in preparation of populating the tags. This should be completed prior to an updated trading system being deployed.
  • Implement any proprietary or third-party software that enables populating the new mandatory tags.
  • Populate the new tags prior to June 5.

These tags are available in New Release for customer testing. There are no impacts to FIX/FAST market data with this launch. Please contact your   Global Account Manager with any questions.

Please see the updated   Client Impact Document for a more detailed description of technical and data requirements.

Green Exchange CERplus Futures and Intercommodity Spreads
Effective Sunday, February 27 (trade date Monday, February 28), the Green Exchange CERplus^SM futures and intercommodity spreads will be listed for trading on CME Globex.

The CERplus^SM products are defined as follows:

The CERplus^SM Futures contract will be an additional contract offering to the existing Green Exchange IDM CER Futures contracts. Existing IDM CER contracts with Open Interest for 2011 and 2012 maturities will not be affected by the introduction of the CERplus^SM. The CERplus^SM Futures contract will initially be listed for delivery in December 2013 maturity.

The intercommodity spreads will use the value IS in tag 762-SecuritySubType.

These products are currently available for customer testing in New Release.

CERplus is a trademark of Green Exchange LLC, used under license.

 S&P 500 Select Sector Index Futures
Effective Sunday, March 14 (trade date, Monday, March 15), the following S&P 500 Select Sector Index futures will be listed for trading on CME Globex:

These new futures will be available for customer testing in New Release on Monday, February 28.

Butterfly Spreads on Crude Oil Futures
Effective Sunday, February 27 (trade date Monday, February 28), butterfly spreads will be listed on CME Globex for Crude Oil futures (tag 1151-SecurityGroup=CL).

Twelve one-month and two six-month butterfly spreads will be available upon launch.

Butterfly spreads consists of three instruments within the same product and with equally distributed maturity months (e.g., M2-U2-Z2). Further details are available in the   Electronic Trading Concepts. Butterfly spreads are identified with BF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message. Crude Oil butterfly spreads will not support implied functionality.

Crude Oil butterfly spreads is currently available for customer testing in New Release.

New Serial Maturities for RUB/USD Futures and Options
Effective Sunday, February 27 (trade date Monday, February 28), CME Group will add the serial contract months for RUB/USD futures and options (tag 1151-SecurityGroup=6R) for trading on CME Globex. The listing rules are as follows:

These new maturities are currently available for customer testing in New Release.

Fed Funds Futures Listing Extension
Effective Sunday, February 27 (trade date Monday, February 28), CME Group will expand the listing cycle of 30-Day Federal Funds futures (tag 1151-SecurityGroup=ZQ) by adding a third year of monthly maturities. With this change, the listing cycle in Fed Funds futures will be 36 consecutive maturities.In addition, all possible calendar, butterfly, condor, and strip spreads will be listed for the new maturities. Implied functionality will be supported for the calendars and butterflies.

 User-Defined Spreads for S&P 500 and NASDAQ-100 Options
Effective Sunday, February 27, to facilitate the creation and trading of intercommodity User-Defined Spreads (UDS) in equity options, the following changes to tag 55-Symbol will occur for User-Defined Spreads only.

Please note: this change will have no impact on the tag 55-Symbol values for the outright options. Only the tag 55 values for the UDS are changing.

These changes will be available in New Release for customer testing this Monday, February 21.

 User-Defined Spreads for Henry Hub Natural Gas Options
Effective Sunday, February 27, to facilitate the creation and trading of User-Defined Spreads (UDS) in Henry Hub Natural Gas options, the following changes to tag 55-Symbol will occur for User-Defined Spreads only.

Please note: this change will have no impact on the tag 55-Symbol values for the outright options. Only the tag 55 values for the UDS are changing.

These changes will be available in New Release for customer testing this Monday, February 21.

 9 Month Eurodollar Double Butterfly Listing
Effective, Sunday, March 13 (trade date Monday, March 14), CME Group will add 9 month double butterfly spreads for the Eurodollar. (tag 1151-Security Group GE).

Double Butterfly consists of 4 instruments within the same product group and equally distributed maturity months (e.g., Z7-H8-M8-U8). Further details are available in the   Electronic Trading Concepts. Double Butterfly spreads are identified with DF in tag 762-SecuritySubType in the Security Definition (tag 35-MsgType=d) message.

The 9 month double butterfly spreads will be available for customer testing in New Release on February 28, 2011.

iLink Session ID Auto-Deletion Process
Effective Monday, January 31, CME Group will implement the quarterly iLink session ID auto-delete process.

Details on the process are available  online. An e-mail notification will be distributed to Class A clearing firms on Monday, January 31. Class A clearing firms will have 30 days to review their idle session IDs. All idle session IDs will be deleted at end of day March 4.

 Implied Delay Functionality for Grain Futures
Effective Sunday, March 27, CME Globex will remove the 10-second implied delay functionality for the market opening process for all CBOT, MGEX and KCBT Grain futures complexes. With this change, these markets will imply immediately after the open. The delay functionality was originally implemented on December 6, 2009.

The change is currently available for customer testing in the New Release.

If you have any questions, please contact the CME Globex Control Center at 312-456-2391, in Europe at 44-20-7623-4708, or in Asia at 65-6223-1357.

 CME Co-Location Services Capacity Update
As our valued customer, we would like to update you on the capacity status of CME Co-Location Services.

If you are interested in applying for space at CME Group’s co-location facility and haven’t already done so, please note CME Group will begin accepting requests for available space on April 4, 2011. Requests submitted on or after April 4, will be reviewed on a first come, first serve basis based on available capacity at the time of the request.

To request legal and product related materials to review prior to April 4, or for additional information, please contact your   Global Account Manager at 312-634-8700, in Europe at 44-20-7796-7100, or in Asia at 65-6593-5574.